Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0071
Annualized Std Dev 0.2801
Annualized Sharpe (Rf=0%) -0.0253

Row

Daily Return Statistics

Close
Observations 5558.0000
NAs 1.0000
Minimum -0.1629
Quartile 1 -0.0082
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0091
Maximum 0.1455
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0176
Skewness -0.2462
Kurtosis 7.6341

Downside Risk

Close
Semi Deviation 0.0128
Gain Deviation 0.0122
Loss Deviation 0.0135
Downside Deviation (MAR=210%) 0.0174
Downside Deviation (Rf=0%) 0.0127
Downside Deviation (0%) 0.0127
Maximum Drawdown 0.7365
Historical VaR (95%) -0.0277
Historical ES (95%) -0.0423
Modified VaR (95%) -0.0274
Modified ES (95%) -0.0483
From Trough To Depth Length To Trough Recovery
2007-12-11 2020-03-16 NA -0.7365 3342 3086 NA
1999-01-07 2002-09-24 2004-11-26 -0.5574 1451 913 538
2006-05-11 2006-06-13 2006-08-15 -0.1289 67 23 44
2007-02-21 2007-03-05 2007-04-02 -0.0986 29 9 20
2005-03-09 2005-04-28 2005-08-09 -0.0948 107 36 71

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.8 -3 -0.5 0 -0.2 0 1 2.2 2 -0.2 0.7 0.9 1.9
2000 0.7 1.5 0 0.9 1.2 1.5 -1 3.6 -0.5 0 2.1 1.1 11.6
2001 2.6 0.6 1.3 1.6 -1.3 0 1.9 0 -2.5 0.8 0.1 -0.1 5
2002 1.5 1.2 0.7 1.5 -0.7 -0.8 -3.5 0.3 -1.1 2.6 3.6 -1.3 3.7
2003 0.6 2.4 2.3 0.1 -0.1 0.6 -0.2 1 2.9 -0.5 1.8 0.4 11.8
2004 -0.8 0.8 0.9 0.5 -1.4 -0.6 -0.5 0.3 1.9 0.4 0.6 -1 1
2005 0.7 0.8 -0.6 1.5 -0.1 -0.5 0.5 2.1 -0.7 -0.8 1.2 -0.3 3.7
2006 0.3 1.5 -0.4 -0.7 0.6 1.4 0 0.7 -0.3 -0.4 -1 0.2 1.9
2007 -0.2 -1.5 0.4 -0.2 0.9 0.2 1.4 1.5 0.8 -1.8 0.1 -1.3 0.4
2008 1.6 -2.4 2.7 1.4 0.5 -0.7 -2.3 -0.6 1.1 3 -7.1 0.3 -2.7
2009 -0.1 -1.4 2.4 0.7 1.2 1 2.1 -3.2 -3.1 -4.1 2 -0.8 -3.7
2010 2 0.1 2.4 0 -3.3 4.7 -1.5 4.3 0.5 -2.8 6 1.1 14
2011 2.4 -1.9 1.1 0.5 -3 1.7 -2.9 -2.3 -2.8 -5.2 -0.9 0.4 -12.4
2012 2.1 1 1.2 0.5 -0.6 7.3 -0.1 3.8 0.2 1.1 0.1 3.1 21
2013 -0.2 -0.1 -1.3 -0.8 -2.7 2 1.2 -1.6 1.6 -0.7 0.2 0.3 -2.2
2014 -1.8 -0.7 1.6 0.2 0.8 0.6 -1.1 -0.1 -0.7 1.4 -0.6 -1.3 -1.7
2015 -2.7 0.3 1.3 1 -0.3 -0.1 0.3 -2.9 0.8 -0.5 1.3 -1.8 -3.2
2016 -0.1 3 -0.6 -0.5 -0.6 0 -1.6 1.2 1.7 -0.5 0.3 0.8 3
2017 -0.5 2 0.2 0.4 0.2 -0.4 0.6 0.1 0.8 -0.1 -0.8 -0.2 2.5
2018 0.5 -1 0.7 -0.7 1.2 0.8 -0.9 -1.3 0 1.8 -0.7 0.3 0.6
2019 -1 0.1 1.6 -0.8 -1.7 0.4 -0.5 -0.1 -0.7 0.7 -0.1 -0.1 -2.2
2020 -1.6 -0.7 -4.2 -1.9 2.1 0 -2.9 -0.5 0.7 0.2 2.3 -1.5 -7.8
2021 0.3 1.4 -0.3 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  32.2 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  33.1 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  33.7 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  32.4 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  31.9 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  30.8 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart